How to make a smooth oval window
You need a combination of Subsurf Modifier, Smooth shading and Edge Crease



Start wit a plane.

Subdivide it.

Select some vertices to create the outline of the window.

Press Alt+Shift+S (to activate the "To Sphere" tool)

Move the mouse a bit to create a rough oval.

Add the middle vertices to the selection and extrude the shape of the window.

Press &#9096; Ctrl+2 to add a subsurf modifier with two subdivisions.

In edit mode set the object to smooth shading.

To make the outside edges sharp, enter edit mode, select the vertices on the edge of the object and mark a crease (Shift+E) with a value of 1, so that the edges are sharp.